Approximation of fuzzy numbers by convolution method

In this paper we consider how to use the convolution method to construct approximations, which consist of fuzzy numbers sequences with good properties, for a general fuzzy number. It shows that this convolution method can generate differentiable approximations in finite steps for fuzzy numbers which have finite non-differentiable points. In the previous work, this convolution method only can be used to construct differentiable approximations for continuous fuzzy numbers whose possible non-differentiable points are the two endpoints of 1-cut. The constructing of smoothers is a key step in the construction process of approximations. It further points out that, if appropriately choose the smoothers, then one can use the convolution method to provide approximations which are differentiable, Lipschitz and preserve the core at the same time.Comment: Submitted to Fuzzy Sets and System at Sep 18 201

Review of modern numerical methods for a simple vanilla option pricing problem

Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model. The increasing complexity of these market assumptions contributes to the popularity of the numerical treatment of option valuation. Therefore, the pricing and hedging of plain vanilla options under the Black–Scholes model usually serve as a bench-mark for the development of new numerical pricing approaches and methods designed for advanced option pricing models. The objective of the paper is to present and compare the methodological concepts for the valuation of simple vanilla options using the relatively modern numerical techniques in this issue which arise from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verification of simple vanilla option prices. The resulting numerical schemes represent a particularly effective option pricing tool that enables some features of options that are depend-ent on the discretization of the computational domain as well as the order of the polynomial approximation to be captured better

Analysis of the Performance Measures of a Non-Markovian Fuzzy Queue via Fuzzy Laplace Transforms Method

Laplace transforms play an essential role in the analysis of classical non-Markovian queueing systems. The problem addressed here is whether the Laplace transform approach is still valid for determining the characteristics of such a system in a fuzzy environment. In this paper, fuzzy Laplace transforms are applied to analyze the performance measures of a non-Markovian fuzzy queueing system FM/ FG/1. Starting from the fuzzy Laplace transform of the service time distribution, we define the fuzzy Laplace transform of the distribution of the dwell time of a customer in the system. By applying the properties of the moments of this distribution, the derivative of this fuzzy transform makes it possible to obtain a fuzzy expression of the average duration of stay of a customer in the system. This expression is the fuzzy formula of the same performance measure that can be obtained from its classical formula by the Zadeh extension principle. The fuzzy queue FM/ FE_k /1 is particularly treated in this text as a concrete case through its service time distribution. In addition to the fuzzy arithmetic of L-R type fuzzy numbers, based on the secant approximation, the properties of the moments of a random variable and Little's formula are used to compute the different performance measures of the system. A numerical example was successfully processed to validate this approach. The results obtained show that the modal values of the performance measures of a non-Markovian fuzzy queueing system are equal to the performance measures of the corresponding classical model computable by the Pollaczeck-Khintchine method. The fuzzy Laplace transforms approach is therefore applicable in the analysis of a fuzzy FM/FG/1 queueing system in the same way as the classical M/G/1 model

Weighted Banzhaf power and interaction indexes through weighted approximations of games

The Banzhaf power index was introduced in cooperative game theory to measure the real power of players in a game. The Banzhaf interaction index was then proposed to measure the interaction degree inside coalitions of players. It was shown that the power and interaction indexes can be obtained as solutions of a standard least squares approximation problem for pseudo-Boolean functions. Considering certain weighted versions of this approximation problem, we define a class of weighted interaction indexes that generalize the Banzhaf interaction index. We show that these indexes define a subclass of the family of probabilistic interaction indexes and study their most important properties. Finally, we give an interpretation of the Banzhaf and Shapley interaction indexes as centers of mass of this subclass of interaction indexes

Hierarchical Multi-resolution Mesh Networks for Brain Decoding

We propose a new framework, called Hierarchical Multi-resolution Mesh Networks (HMMNs), which establishes a set of brain networks at multiple time resolutions of fMRI signal to represent the underlying cognitive process. The suggested framework, first, decomposes the fMRI signal into various frequency subbands using wavelet transforms. Then, a brain network, called mesh network, is formed at each subband by ensembling a set of local meshes. The locality around each anatomic region is defined with respect to a neighborhood system based on functional connectivity. The arc weights of a mesh are estimated by ridge regression formed among the average region time series. In the final step, the adjacency matrices of mesh networks obtained at different subbands are ensembled for brain decoding under a hierarchical learning architecture, called, fuzzy stacked generalization (FSG). Our results on Human Connectome Project task-fMRI dataset reflect that the suggested HMMN model can successfully discriminate tasks by extracting complementary information obtained from mesh arc weights of multiple subbands. We study the topological properties of the mesh networks at different resolutions using the network measures, namely, node degree, node strength, betweenness centrality and global efficiency; and investigate the connectivity of anatomic regions, during a cognitive task. We observe significant variations among the network topologies obtained for different subbands. We, also, analyze the diversity properties of classifier ensemble, trained by the mesh networks in multiple subbands and observe that the classifiers in the ensemble collaborate with each other to fuse the complementary information freed at each subband. We conclude that the fMRI data, recorded during a cognitive task, embed diverse information across the anatomic regions at each resolution.Comment: 18 page

Measuring the interactions among variables of functions over the unit hypercube

By considering a least squares approximation of a given square integrable function $f\colon[0,1]^n\to\R$ by a multilinear polynomial of a specified degree, we define an index which measures the overall interaction among variables of $f$. This definition extends the concept of Banzhaf interaction index introduced in cooperative game theory. Our approach is partly inspired from multilinear regression analysis, where interactions among the independent variables are taken into consideration. We show that this interaction index has appealing properties which naturally generalize the properties of the Banzhaf interaction index. In particular, we interpret this index as an expected value of the difference quotients of $f$ or, under certain natural conditions on $f$, as an expected value of the derivatives of $f$. These interpretations show a strong analogy between the introduced interaction index and the overall importance index defined by Grabisch and Labreuche [7]. Finally, we discuss a few applications of the interaction index

Spectral geometry with a cut-off: topological and metric aspects

Inspired by regularization in quantum field theory, we study topological and metric properties of spaces in which a cut-off is introduced. We work in the framework of noncommutative geometry, and focus on Connes distance associated to a spectral triple (A, H, D). A high momentum (short distance) cut-off is implemented by the action of a projection P on the Dirac operator D and/or on the algebra A. This action induces two new distances. We individuate conditions making them equivalent to the original distance. We also study the Gromov-Hausdorff limit of the set of truncated states, first for compact quantum metric spaces in the sense of Rieffel, then for arbitrary spectral triples. To this aim, we introduce a notion of "state with finite moment of order 1" for noncommutative algebras. We then focus on the commutative case, and show that the cut-off induces a minimal length between points, which is infinite if P has finite rank. When P is a spectral projection of $D$, we work out an approximation of points by non-pure states that are at finite distance from each other. On the circle, such approximations are given by Fejer probability distributions. Finally we apply the results to Moyal plane and the fuzzy sphere, obtained as Berezin quantization of the plane and the sphere respectively.Comment: Reference added. Minor corrections. Published version. 38 pages, 2 figures. Journal of Geometry and Physics 201